I found parts of Silent Hill startling. The Crimson Heads in the Resident Evil Remake made me think twice about going in certain rooms, which I guess you can call fear. I got a chill up my spine when I turned around and a zombie was right in my face in System Shock 2. Can't say any films or books have been that effective in over 20 years.
Anyway, my top picks for setting are:
Horror - either A monster-mash type of thing like Zombies Ate My Neighbors. Throw in a Goonies-esque youth adventure theme, improvised "weaponry" like in ZAMN and The Lost Boys. Just something fun; or a Hammer studios inspired, gothic horror with well dressed gents, buxom ladies, glorious Technicolor visuals.
Hard science fiction/political fiction - Earth-based, dealing with national and geopolitics, advanced-yet-grounded military tech, urban settings/warfare, foreign incursions. Maybe a little Mission: Impossible squad dynamics. No gobbledygook like space fleets, galactic dynasties, ancient aliens etc.
Modern day - Something set in the New York inner-city during the 60s or late 70s. Urban blight, ethnic ghettos, low-life characters, small-time players, faded dreams. Maybe something with surreal elements, like The Warriors or Ralph Bakshi's 'Heavy Traffic.' No holds barred, politically incorrect, with the ring of truth to it. Basically, something the video game industry is incapable of making.